Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1158 |
| Annualized Std Dev | 0.4632 |
| Annualized Sharpe (Rf=0%) | 0.2501 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3711.0000 |
| NAs | 1.0000 |
| Minimum | -0.2908 |
| Quartile 1 | -0.0111 |
| Median | 0.0019 |
| Arithmetic Mean | 0.0009 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0145 |
| Maximum | 0.2542 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0018 |
| Variance | 0.0009 |
| Stdev | 0.0292 |
| Skewness | -0.4760 |
| Kurtosis | 11.2823 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0214 |
| Gain Deviation | 0.0203 |
| Loss Deviation | 0.0240 |
| Downside Deviation (MAR=210%) | 0.0251 |
| Downside Deviation (Rf=0%) | 0.0211 |
| Downside Deviation (0%) | 0.0211 |
| Maximum Drawdown | 0.8635 |
| Historical VaR (95%) | -0.0435 |
| Historical ES (95%) | -0.0719 |
| Modified VaR (95%) | -0.0443 |
| Modified ES (95%) | -0.0855 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2013-05-14 | -0.8635 | 1497 | 444 | 1053 |
| 2018-08-30 | 2020-03-23 | 2020-12-17 | -0.6919 | 580 | 392 | 188 |
| 2015-06-24 | 2016-02-11 | 2016-08-15 | -0.3687 | 289 | 161 | 128 |
| 2014-07-02 | 2014-10-13 | 2014-11-24 | -0.2079 | 102 | 72 | 30 |
| 2018-01-29 | 2018-02-08 | 2018-07-09 | -0.1880 | 112 | 9 | 103 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 0.4 | -1.4 | 0.8 | -1.1 | -2.7 | -0.6 | -1.8 | -6.3 |
| 2007 | 2.5 | -0.9 | 0.8 | 0.5 | 0.8 | -0.4 | 1.5 | 3.1 | 2.4 | -4.8 | 1.2 | -2.3 | 4.2 |
| 2008 | 5 | -4.9 | 6.9 | 2.4 | 1.6 | 0.1 | -0.9 | -2.1 | -1 | 5.7 | -20.3 | 4 | -6.5 |
| 2009 | -5.5 | -1.8 | 2.9 | 0 | 6.5 | 2.1 | -0.1 | -4.4 | -6 | -5.5 | 2.8 | -2.9 | -12.1 |
| 2010 | 2.7 | 3.6 | 2 | -4.3 | -5.1 | -1.2 | 0.5 | 6.7 | 0.4 | -0.1 | 4.1 | -0.8 | 8.2 |
| 2011 | 3 | -3.3 | 1.5 | 0.6 | -5.1 | 3.5 | -1.2 | -3.3 | -5.8 | -6.2 | -1.4 | -1.1 | -17.8 |
| 2012 | 4.1 | 1.6 | -0.2 | 1.1 | -6.4 | 5.8 | -1.8 | 1.1 | -1 | 5 | -0.1 | 3.4 | 12.6 |
| 2013 | 1.7 | -0.5 | -2.1 | -3.7 | -1.9 | 2.4 | 4.3 | -3.1 | 2.9 | 0.3 | -0.6 | 0.7 | 0 |
| 2014 | -1 | 0.3 | 1.7 | 0.3 | -0.6 | 1.5 | -0.2 | 0.8 | -2.9 | 2.2 | -2.5 | -2 | -2.4 |
| 2015 | -2.7 | -0.9 | -0.6 | 1.7 | 0.7 | 0.7 | 0.3 | -5.9 | -0.5 | -0.3 | 1.7 | -1.8 | -7.5 |
| 2016 | -0.3 | 4.2 | 1 | -1.1 | 0.8 | 0.5 | -0.7 | -0.2 | 1.8 | -2 | -0.5 | -0.8 | 2.5 |
| 2017 | -0.6 | 3.4 | 0.1 | 0.7 | 3.1 | 0.1 | 0.5 | 0.6 | 0.2 | -0.5 | -0.4 | -1 | 6.1 |
| 2018 | 0.4 | -0.7 | 2.7 | 0.7 | 1.1 | 0.4 | -0.7 | 0.5 | -1.7 | 3.9 | 1.4 | 2.5 | 11.1 |
| 2019 | 0.5 | 1.5 | 2.7 | -2.3 | -2 | 0.6 | -3.1 | 0.3 | -3.6 | 2.9 | -2.1 | 0.3 | -4.5 |
| 2020 | -3.9 | -3.8 | -11.5 | -6.6 | 2.5 | -1.4 | -1.3 | 1.5 | 2.5 | -1.5 | 2.6 | 0.4 | -19.7 |
| 2021 | 4.2 | 5.8 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 10 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-06-21 12.1 SPY 125. 0.0074 0.0122 -0.0089 -0.0412 0.0291 0.257 0.0247 GLD 58.3 0.018 0.0487
2 2006-06-22 11.9 SPY 124. -0.0044 -0.0132 -0.0057 -0.0434 0.0238 0.265 0.0214 GLD 57.7 -0.0103 0.0072
3 2006-06-23 12.1 SPY 124. -0.0002 -0.0017 -0.0137 -0.0443 0.0382 0.263 0.0262 GLD 58.0 0.0045 0.0054
4 2006-06-26 12.2 SPY 125. 0.0044 0.0107 -0.0215 -0.0387 0.0505 0.282 0.0263 GLD 58.3 0.005 0.0341
5 2006-06-27 12.0 SPY 124. -0.0086 -0.0015 -0.0348 -0.0411 0.0399 0.254 0.0121 GLD 57.7 -0.0103 0.0066
6 2006-06-28 12.0 SPY 125. 0.0068 -0.0021 -0.0107 -0.0406 0.0383 0.277 0.0075 GLD 57.5 -0.00240 -0.0135
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
